Gregory Connor : Citation Profile

Are you Gregory Connor?

Maynooth University

12

H index

15

i10 index

1000

Citations

RESEARCH PRODUCTION:

15

Articles

32

Papers

1

Books

1

Chapters

RESEARCH ACTIVITY:

   34 years (1984 - 2018). See details.
   Cites by year: 29
   Journals where Gregory Connor has often published
   Relations with other researchers
   Recent citing documents: 91.    Total self citations: 14 (1.38 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pco532
   Updated: 2022-05-21    RAS profile: 2019-06-12    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Gregory Connor.

Is cited by:

LINTON, OLIVER (26)

Swanson, Norman (23)

Bai, Jushan (22)

Pesaran, M (17)

Hallin, Marc (17)

Barigozzi, Matteo (16)

Kapetanios, George (16)

Jagannathan, Ravi (15)

Forni, Mario (15)

Ng, Serena (14)

Marcellino, Massimiliano (13)

Cites to:

Fama, Eugene (25)

French, Kenneth (23)

Korajczyk, Robert (20)

Campbell, John (19)

Reinhart, Carmen (19)

Engle, Robert (15)

LINTON, OLIVER (14)

Gorton, Gary (11)

Bollerslev, Tim (10)

Shanken, Jay (9)

Jagannathan, Ravi (9)

Main data

Where Gregory Connor has published?

Journals with more than one article published# docs
Journal of Financial Economics2
Journal of International Money and Finance2

Working Papers Series with more than one paper published# docs
Economics Department Working Paper Series / Department of Economics, National University of Ireland - Maynooth11
Research Program in Finance Working Papers / University of California at Berkeley7

Recent works citing Gregory Connor (2021 and 2020)

YearTitle of citing document
2021Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas. (2021). Violante, Francesco ; Grassi, Stefano. In: CREATES Research Papers. RePEc:aah:create:2021-05.

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2020Statistical challenges of stress test financial stability assessments. (2020). Kupiec, Paul H. In: AEI Economics Working Papers. RePEc:aei:rpaper:008586461.

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2020Refined model of the covariance/correlation matrix between securities. (2020). Valeyre, Sebastien. In: Papers. RePEc:arx:papers:2001.08911.

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2020Simpler Proofs for Approximate Factor Models of Large Dimensions. (2020). Ng, Serena ; Bai, Jushan. In: Papers. RePEc:arx:papers:2008.00254.

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2020Recent Developments on Factor Models and its Applications in Econometric Learning. (2020). Fan, Jianqing ; Liao, Yuan. In: Papers. RePEc:arx:papers:2009.10103.

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2020Hierarchical PCA and Modeling Asset Correlations. (2020). Serur, Juan Andr'Es ; Avellaneda, Marco. In: Papers. RePEc:arx:papers:2010.04140.

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2021Optimal Portfolio Using Factor Graphical Lasso. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.00435.

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2021Learning from Forecast Errors: A New Approach to Forecast Combinations. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.02077.

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2022Incorporating Financial Big Data in Small Portfolio Risk Analysis: Market Risk Management Approach. (2021). Yu, Seunghyeon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.12783.

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2021The Kernel Trick for Nonlinear Factor Modeling. (2021). Kutateladze, Varlam. In: Papers. RePEc:arx:papers:2103.01266.

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2021Time Varying Risk in U.S. Housing Sector and Real Estate Investment Trusts Equity Return. (2021). Alam, Masud. In: Papers. RePEc:arx:papers:2107.10455.

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2021Machine Learning and Factor-Based Portfolio Optimization. (2021). Kynigakis, Iason ; Cotter, John ; Conlon, Thomas. In: Papers. RePEc:arx:papers:2107.13866.

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2021The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion. (2021). Wu, Wei ; Shevchenko, Pavel V ; Penev, Spiridon. In: Papers. RePEc:arx:papers:2108.02633.

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2022Feasible Weighted Projected Principal Component Analysis for Factor Models with an Application to Bond Risk Premia. (2021). Choi, Sung Hoon. In: Papers. RePEc:arx:papers:2108.10250.

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2022A projection based approach for interactive fixed effects panel data models. (2022). Soberon, Alexandra ; Rodriguez-Poo, Juan M ; Keilbar, Georg ; Wang, Weining. In: Papers. RePEc:arx:papers:2201.11482.

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2022Characteristics-driven returns in equilibrium. (2022). Coqueret, Guillaume. In: Papers. RePEc:arx:papers:2203.07865.

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2020Understanding Systematic Risk: A High‐Frequency Approach. (2020). Pelger, Markus. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:4:p:2179-2220.

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2020A Dynamic Semiparametric Characteristics-based Model for Optimal Portfolio Selection. (2020). Li, S ; Connor, G ; Linton, O. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:20103.

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2020A Dynamic Network of Arbitrage Characteristics. (2020). Linton, O. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2060.

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2020Nonparametric Euler Equation Identi?cation and Estimation. (2020). Srisuma, S ; Linton, O ; Lewbel, A ; Hoderlein, S ; Escanciano, J C. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2064.

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2021A Factor Model for Cryptocurrency Returns. (2021). Babiak, Mykola ; Bianchi, Daniele. In: CERGE-EI Working Papers. RePEc:cer:papers:wp710.

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2020Measuring Systemic Risk: A Quantile Factor Analysis. (2020). Sagner, Andres. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:874.

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2020High Dimensional Quantile Factor Analysis. (2020). Sagner, Andres. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:886.

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2021Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas. (2021). Violante, Francesco ; Grassi, Stefano. In: Working Papers. RePEc:crs:wpaper:2021-05.

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2020Latent factor model for asset pricing. (2020). Yu, Dantong ; Uddin, Ajim. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:27:y:2020:i:c:s2214635019302333.

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2020International Stock Comovements with Endogenous Clusters. (2020). Owyang, Michael ; Jackson Young, Laura ; Coroneo, Laura. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:116:y:2020:i:c:s0165188920300725.

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2020Artificial neural network regression models in a panel setting: Predicting economic growth. (2020). Jahn, Malte. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:148-154.

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2021A novel explanation for idiosyncratic volatility anomaly: An asset decomposition perspective. (2021). Zhang, Qun ; Wan, Wei ; Chen, Yue ; Liu, Hao. In: Economics Letters. RePEc:eee:ecolet:v:206:y:2021:i:c:s0165176521002718.

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2020Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals. (2020). Hallin, Marc ; Barigozzi, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:4-34.

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2020Estimating latent asset-pricing factors. (2020). Pelger, Markus ; Lettau, Martin. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:1:p:1-31.

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2020Simple and reliable estimators of coefficients of interest in a model with high-dimensional confounding effects. (2020). Zinde-Walsh, Victoria ; Galbraith, John W. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:609-632.

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2021Predicting the VIX and the volatility risk premium: The role of short-run funding spreads Volatility Factors. (2021). Ghysels, Eric ; Andreou, Elena. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:2:p:366-398.

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2021Estimation of a nonparametric model for bond prices from cross-section and time series information. (2021). LINTON, OLIVER ; la Vecchia, Davide ; Koo, Bonsoo. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:2:p:562-588.

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2021Estimation and inference in semiparametric quantile factor models. (2021). Gao, Jiti ; Linton, Oliver ; Ma, Shujie. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:295-323.

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2021Autoencoder asset pricing models. (2021). Xiu, Dacheng ; Kelly, Bryan ; Gu, Shihao. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:429-450.

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2021Dynamic spatial panel data models with common shocks. (2021). Li, Kunpeng ; Bai, Jushan. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:1:p:134-160.

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2021Evaluating restricted common factor models for non-stationary data. (2021). Fachin, Stefano ; Di Iorio, Francesca. In: Econometrics and Statistics. RePEc:eee:ecosta:v:17:y:2021:i:c:p:64-75.

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2021Spurious cross-sectional dependence in credit spread changes. (2021). McAleer, Michael ; Jaskowski, Marcin. In: Econometrics and Statistics. RePEc:eee:ecosta:v:18:y:2021:i:c:p:12-27.

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2021Forecasting stock returns with large dimensional factor models. (2021). Soccorsi, Stefano ; Massacci, Daniele ; Giovannelli, Alessandro. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:252-269.

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2022Characteristic-sorted portfolios and macroeconomic risks—An orthogonal decomposition. (2022). Conlon, Thomas ; Bessler, Wolfgang ; Adcock, Christopher . In: Journal of Empirical Finance. RePEc:eee:empfin:v:65:y:2022:i:c:p:24-50.

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2022Integration of tidal energy into an island energy system – A case study of Orkney islands. (2022). Davies, Gareth ; Kerr, Sandy ; Woolf, David K ; Almoghayer, Mohammed A. In: Energy. RePEc:eee:energy:v:242:y:2022:i:c:s0360544221027961.

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2021Expected stock returns, common idiosyncratic volatility and average idiosyncratic correlation. (2021). Qian, Long ; Ni, Xuanming ; Liu, Jia ; Zhao, Huimin. In: International Review of Financial Analysis. RePEc:eee:finana:v:76:y:2021:i:c:s1057521921001289.

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2021Convergence in cryptocurrency prices? the role of market microstructure. (2021). Apergis, Nicholas ; Payne, James E ; Koutmos, Dimitrios. In: Finance Research Letters. RePEc:eee:finlet:v:40:y:2021:i:c:s1544612319314114.

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2022Graph-based multi-factor asset pricing model. (2022). Lee, Jaewook ; Son, Bumho. In: Finance Research Letters. RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321001136.

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2021On the stability of stock-bond comovements across market conditions in the Eurozone periphery. (2021). Lagoa-Varela, Dolores ; Flavin, Thomas J. In: Global Finance Journal. RePEc:eee:glofin:v:49:y:2021:i:c:s1044028318303144.

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2022Multi-population mortality modeling: When the data is too much and not enough. (2022). Tsai, Chenghsien Jason ; Kuo, Weiyu ; MacMinn, Richard D ; Kung, Ko-Lun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:103:y:2022:i:c:p:41-55.

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202130 years of cointegration and dynamic factor models forecasting and its future with big data: Editorial. (2021). Ruiz, Esther ; Pea, Daniel ; Escribano, Alvaro. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1333-1337.

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2022The kernel trick for nonlinear factor modeling. (2022). Kutateladze, Varlam. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:1:p:165-177.

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2020Are banking shocks contagious? Evidence from the eurozone. (2020). Lagoa-Varela, Dolores ; Flavin, Thomas J ; Dungey, Mardi. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:112:y:2020:i:c:s0378426618301572.

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2021Long-run reversal in commodity returns: Insights from seven centuries of evidence. (2021). Zaremba, Adam ; Mikutowski, Mateusz ; Bianchi, Robert J. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621001977.

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2021Repayment capacity, debt service ratios and mortgage default: An exploration in crisis and non-crisis periods. (2021). Slaymaker, Rachel ; O'Toole, Conor ; Otoole, Conor. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002272.

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2020Is the active fund management industry concentrated enough?. (2020). Xu, Jingrui ; Saxena, Konark ; Feldman, David. In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:1:p:23-43.

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2021Frequency dependent risk. (2021). Varneskov, Rasmus T ; Neuhierl, Andreas. In: Journal of Financial Economics. RePEc:eee:jfinec:v:140:y:2021:i:2:p:644-675.

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2021Understanding momentum and reversal. (2021). Pruitt, Seth ; Moskowitz, Tobias J ; Kelly, Bryan T. In: Journal of Financial Economics. RePEc:eee:jfinec:v:140:y:2021:i:3:p:726-743.

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2021Factors and risk premia in individual international stock returns. (2021). Scaillet, Olivier ; Chaieb, Ines ; Langlois, Hugues. In: Journal of Financial Economics. RePEc:eee:jfinec:v:141:y:2021:i:2:p:669-692.

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2021Spectral factor models. (2021). Tamoni, Andrea ; Lo, Andrew W ; Chaudhuri, Shomesh E ; Bandi, Federico M. In: Journal of Financial Economics. RePEc:eee:jfinec:v:142:y:2021:i:1:p:214-238.

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2022The level, slope, and curve factor model for stocks. (2022). Clarke, Charles. In: Journal of Financial Economics. RePEc:eee:jfinec:v:143:y:2022:i:1:p:159-187.

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2021A semiparametric latent factor model for large scale temporal data with heteroscedasticity. (2021). Wang, Haonan ; Zhou, Wen ; Zhang, Lyuou. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:186:y:2021:i:c:s0047259x21000646.

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2020Commodity-price comovement and global economic activity. (2020). Coibion, Olivier ; Bhattarai, Saroj ; Alquist, Ron. In: Journal of Monetary Economics. RePEc:eee:moneco:v:112:y:2020:i:c:p:41-56.

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2021An empirical illustration of the integration of sovereign bond markets. (2021). Inaba, Kei-Ichiro. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:61:y:2021:i:c:s1042444x20300633.

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2021Measuring the stocks factor beta and identifying risk factors under market inefficiency. (2021). Semenov, Andrei . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:80:y:2021:i:c:p:635-649.

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2020Flow structures in wake of a pile-supported horizontal axis tidal stream turbine. (2020). Zhang, Jisheng ; Guo, Yakun ; Wang, Risheng ; Lin, Xiangfeng. In: Renewable Energy. RePEc:eee:renene:v:147:y:2020:i:p1:p:2321-2334.

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2020Information-driven stock return comovements across countries. (2020). Inaba, Kei-Ichiro. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531918309450.

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2020Repayment capacity, debt service ratios and mortgage default: An exploration in crisis and non-crisis periods. (2020). Slaymaker, Rachel ; O'Toole, Conor. In: Papers. RePEc:esr:wpaper:wp652.

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2020Life Cycle Assessment of Electricity Generation from an Array of Subsea Tidal Kite Prototypes. (2020). Molander, Sverker ; Tivander, Johan ; Kaddoura, Mohamad. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:2:p:456-:d:309936.

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2021Tides and Tidal Currents—Guidelines for Site and Energy Resource Assessment. (2021). Nastasi, Benedetto ; Barbarelli, Silvio. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:19:p:6123-:d:643461.

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2021Tidal Stream vs. Wind Energy: The Value of Cyclic Power When Combined with Short-Term Storage in Hybrid Systems. (2021). Miles, Jon ; Goss, Zoe ; Angeloudis, Athanasios ; Coles, Daniel. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:4:p:1106-:d:502201.

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2021Role of International Trade Competitive Advantage and Corporate Governance Quality in Predicting Equity Returns: Static and Conditional Model Proposals for an Emerging Market. (2021). Ceylan, Burak ; Kizil, Cevdet ; Muzir, Erol . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:3:p:125-:d:517617.

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2021Asymmetry and Leverage with News Impact Curve Perspective in Australian Stock Returns’ Volatility during COVID-19. (2021). Bhatti, Muhammad Ishaq ; Manzoor, Muhammad Saqib ; Iqbal, Najam. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:7:p:314-:d:590930.

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2020The Integration of Countries Sovereign Bond Markets: An Empirical Illustration of a Global Financial Cycle. (2020). Inaba, Kei-Ichiro. In: IMES Discussion Paper Series. RePEc:ime:imedps:20-e-01.

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2020Financial integration in the EU28 equity markets: measures and drivers. (2020). Papanagiotou, Evangalia ; Ossola, Elisa ; Nardo, Michela. In: Working Papers. RePEc:jrs:wpaper:202009.

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2021Equilibrium asset pricing and the cross section of expected returns. (2021). Vanden, Joel M. In: Annals of Finance. RePEc:kap:annfin:v:17:y:2021:i:2:d:10.1007_s10436-021-00383-7.

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2020Banks and Sovereigns: Did adversity bring them closer?. (2020). Sheenan, L ; Dongue, M ; Flavin, T. In: Economics, Finance and Accounting Department Working Paper Series. RePEc:may:mayecw:n307-20.pdf.

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2020Estimation of a Nonparametric Model for Bond Prices from Cross-Section and Time Series Information. (2020). Linton, Oliver ; la Vecchia, Davide ; Koo, Bonsoo . In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2020-4.

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2020Time-Varying Panel Data Models with an Additive Factor Structure. (2020). GAO, Jiti ; Liu, Fei ; Yang, Yanrong. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2020-42.

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2020A non-hierarchical dynamic factor model for three-way data. (2020). Pinheiro, Maximiano ; Dias, Francisco ; Rua, Antonio. In: Working Papers. RePEc:ptu:wpaper:w202007.

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2021Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas. (2021). Violante, Francesco ; Grassi, Stefano. In: CEIS Research Paper. RePEc:rtv:ceisrp:510.

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2020Canonical Correlation-based Model Selection for the Multilevel Factors. (2020). Shin, Yongcheol ; Lin, Rui ; Choi, IN. In: Working Papers. RePEc:sgo:wpaper:2008.

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2021A further analysis of robust regression modeling and data mining corrections testing in global stocks. (2021). Xu, Ganlin ; Guerard, John B ; Markowitz, Harry. In: Annals of Operations Research. RePEc:spr:annopr:v:303:y:2021:i:1:d:10.1007_s10479-020-03521-y.

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2020A global look into stock market comovements. (2020). Inaba, Kei-Ichiro. In: Review of World Economics (Weltwirtschaftliches Archiv). RePEc:spr:weltar:v:156:y:2020:i:3:d:10.1007_s10290-019-00370-1.

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2021Machine Learning and Factor-Based Portfolio Optimization. (2021). Cotter, John ; Conlon, Thomas ; Kynigakis, Iason. In: Working Papers. RePEc:ucd:wpaper:202111.

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2020Learning from Forecast Errors: A New Approach to Forecast Combination. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Working Papers. RePEc:ucr:wpaper:202024.

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2020Optimal Portfolio Using Factor Graphical Lasso. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Working Papers. RePEc:ucr:wpaper:202025.

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2021Robust Inference for Diffusion-Index Forecasts with Cross-Sectionally Dependent Data. (2021). Kim, Min Seong. In: Working papers. RePEc:uct:uconnp:2021-04.

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2021A large constrained time?varying portfolio selection model with DCC?MIDAS: Evidence from Chinese stock market. (2021). He, Yaoyao ; Jiang, Cuixia ; Zuo, Junqing ; Xu, Qifa. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:3:p:3417-3435.

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2021Dynamic risk attributes in Malaysia stock markets: Behavioural finance insights. (2021). Ahmad, Zamri ; Tuyon, Jasman. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:4:p:5793-5814.

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2022Why do sukuks (Islamic bonds) need a different pricing model?. (2022). Liu, Jia ; Hossain, Mohammed S ; Hassan, Mohammad Kabir ; Kabir, Sarkar H ; Uddin, Md Hamid. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:2:p:2210-2234.

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2020A cross‐section average‐based principal components approach for fixed‐T panels. (2020). Westerlund, Joakim. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:35:y:2020:i:6:p:776-785.

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2021Is idiosyncratic risk conditionally priced?. (2021). Mehra, Rajnish ; Xie, Daruo ; Wahal, Sunil. In: Quantitative Economics. RePEc:wly:quante:v:12:y:2021:i:2:p:625-646.

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2021Using Principal Component Analysis to create an index of financial conditions in Spain. Differences by firm size and industry. (2021). Román-Aso, Juan ; Villalba, Fernando Coca ; Roman-Aso, Juan A ; Frigola, Irene Bosch ; Franks, Vanessa Mastral. In: EconStor Preprints. RePEc:zbw:esprep:234038.

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2020The power of (non-)linear shrinking: a review and guide to covariance matrix estimation. (2019). Wolf, Michael ; Ledoit, Olivier. In: ECON - Working Papers. RePEc:zur:econwp:323.

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Works by Gregory Connor:

YearTitleTypeCited
1993 A Test for the Number of Factors in an Approximate Factor Model. In: Journal of Finance.
[Full Text][Citation analysis]		article216
2012Sliding Doors Cost Measurement: The Net Economic Cost of Lax Regulation of the Irish Banking Sector In: The World Economy.
[Full Text][Citation analysis]		article2
2006Semiparametric Estimation of aCharacteristic-based Factor Model ofCommon Stock Returns In: STICERD - Econometrics Paper Series.
[Full Text][Citation analysis]		paper27
2007Semiparametric estimation of a characteristic-based factor model of common stock returns.(2007) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 27		article
2006Semiparametric estimation of a characteristic-based factor model of common stock returns.(2006) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 27		paper
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